204 lines
9.1 KiB
Python
204 lines
9.1 KiB
Python
import logging
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import nest_asyncio
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import pandas as pd
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import traceback
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from database.trades import upsert
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from dataclasses import replace
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from datetime import datetime
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from dotenv import load_dotenv
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from ibkr import Client, OptionLeg
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from ibkr.option_type import CALL, PUT
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from ibkr.order_action import BUY, SELL
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from os import getenv
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from pytz import timezone
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load_dotenv()
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# Allows for starting an event loop even if there's already one running in the current thread.
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# Necessary for monitoring spread prices asynchronously while interacting with the IBKR client.
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nest_asyncio.apply()
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quantity = 1
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def monitor_spread_price(short_leg: OptionLeg, long_leg: OptionLeg, stop_price: float, client: Client):
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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Stop loss orders will not execute if trying to sell back a contract with no bid while paper trading.
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Therefore, the spread price must be monitored and the spread manually exited if the stop price is reached.
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If there is no bid for the long leg, only the short leg will be exited.
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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stopped_out = False
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market_data = {} # Stores real-time market data for each leg.
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def on_market_data_update(update_event):
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# Prevent the trade from being exited multiple times if there are other updates queued.
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# This will prevent unintentionally entering new trades.
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nonlocal stopped_out
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if stopped_out:
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return
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# Ensure there is market data for both legs before proceeding.
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if short_leg in market_data and long_leg in market_data:
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short_contract = market_data[short_leg]
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long_contract = market_data[long_leg]
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# If a contract has no bid -1.0 is returned, set it to 0 to avoid negative mid prices.
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mid_price_short = (max(short_contract.bid, 0) + short_contract.ask) / 2
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mid_price_long = (max(long_contract.bid, 0) + long_contract.ask) / 2
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current_spread_price = mid_price_short - mid_price_long
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logging.info(f'Short Contract: {short_leg.strike} {short_leg.option_type}')
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logging.info(f'Long Contract: {long_leg.strike} {long_leg.option_type}')
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logging.info(f'Current Spread Price: {current_spread_price}')
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logging.info(f'Stop Price: {stop_price}')
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if current_spread_price >= stop_price:
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stopped_out = True
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logging.info('Stop price reached or exceeded. Exiting trade.')
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short_leg_exit = replace(short_leg, action = BUY if short_leg.action == SELL else SELL)
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long_leg_exit = replace(long_leg, action = BUY if long_leg.action == SELL else SELL)
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if long_contract.bid > 0:
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client.submit_combo_option_order([short_leg_exit, long_leg_exit], quantity)
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logging.info('Whole spread exited.')
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else:
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client.submit_option_order(short_leg_exit, quantity)
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logging.info('Short leg only exited.')
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# Unsubscribe from market data updates once the trade has exited.
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for leg in [short_leg, long_leg]:
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market_data[leg].updateEvent -= on_market_data_update
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for leg in [short_leg, long_leg]:
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option_contract = client.get_option_contract(leg)
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leg_market_data = client.get_market_data(option_contract, streaming=True)
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market_data[leg] = leg_market_data
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leg_market_data.updateEvent += on_market_data_update
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def enter_iron_condor():
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logging.basicConfig(
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filename=f'iron_condor_{datetime.now().strftime("%H%M")}.log',
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level=logging.INFO,
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format='%(asctime)s : %(levelname)s : %(message)s',
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datefmt='%Y-%m-%d %H:%M:%S'
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)
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try:
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_enter_iron_condor()
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except Exception as e:
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logging.error("Error: %s", traceback.format_exc())
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def _enter_iron_condor():
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ibkr_host = getenv('IBKR_HOST')
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ibkr_port = getenv('IBKR_PORT')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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symbol, sub_symbol = 'SPX', 'SPXW'
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expiration = datetime.now()
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underlying_ticker = ibkr_client.get_ticker(symbol, 'CBOE')
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current_price = underlying_ticker.last
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# Filtering strikes based on distance from current price speeds up the request.
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max_strike_distance = 100
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def contract_filter(contract):
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if contract.right == CALL:
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return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
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return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
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option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
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logging.info(option_chain)
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target_delta = 0.10
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def closest_contract_by_delta(target_delta, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Delta Distance'] = abs(options['Delta'] - target_delta)
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return options.loc[options['Delta Distance'].idxmin()]
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# Find the strikes that minimize the distance to the target delta.
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short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
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short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# TODO: Select long strike based on preferred price.
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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def closest_contract_by_strike(target_strike, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Strike Distance'] = abs(options['Strike'] - target_strike)
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return options.loc[options['Strike Distance'].idxmin()]
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long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
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long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
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# Build the iron condor.
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short_put_strike = float(short_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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logging.info(f'Short Put Strike: {short_put_strike}')
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logging.info(f'Long Put Strike: {long_put_strike}')
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logging.info(f'Short Call Strike: {short_call_strike}')
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logging.info(f'Long Call Strike: {long_call_strike}')
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trade_records = []
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call_spread_details = {}
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put_spread_details = {}
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short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol)
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long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)
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call_spread_order = ibkr_client.submit_combo_option_order([short_call_leg, long_call_leg], quantity)
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while not call_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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if call_spread_order.orderStatus.status == 'Filled':
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fill_price = abs(call_spread_order.orderStatus.avgFillPrice)
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logging.info(f'Call Spread Fill Price: {fill_price}')
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monitor_spread_price(short_call_leg, long_call_leg, fill_price * 2, ibkr_client)
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call_spread_details = {
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'Legs': [
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{'Action': 'SELL', 'Strike': short_call_strike, 'Type': 'CALL'},
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{'Action': 'BUY', 'Strike': long_call_strike, 'Type': 'CALL'}
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],
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'Open': fill_price
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}
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short_put_leg = OptionLeg(symbol, expiration, short_put_strike, PUT, SELL, sub_symbol)
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long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)
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put_spread_order = ibkr_client.submit_combo_option_order([short_put_leg, long_put_leg], quantity)
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while not put_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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if put_spread_order.orderStatus.status == 'Filled':
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fill_price = abs(put_spread_order.orderStatus.avgFillPrice)
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logging.info(f'Put Spread Fill Price: {fill_price}')
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monitor_spread_price(short_put_leg, long_put_leg, fill_price * 2, ibkr_client)
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put_spread_details = {
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'Legs': [
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{'Action': 'SELL', 'Strike': short_put_strike, 'Type': 'PUT'},
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{'Action': 'BUY', 'Strike': long_put_strike, 'Type': 'PUT'}
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],
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'Open': fill_price
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}
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now = datetime.now().astimezone(timezone('US/Eastern'))
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trade_records.append({
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'Date': now.date(),
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'Symbol': symbol,
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'Strategy': f'{int(target_delta * 100)} Delta Iron Condor @ {now.strftime("%H:%M:00")}',
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'Entry Time': now,
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'Exit Time': None,
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'Spreads': [call_spread_details, put_spread_details],
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'Profit': None
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})
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upsert(pd.DataFrame(trade_records))
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# TODO: Add a shutdown hook.
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ibkr_client.run_event_loop() |